Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.2693
Annualized Std Dev 0.5711
Annualized Sharpe (Rf=0%) 0.4716

Row

Daily Return Statistics

Close
Observations 3112.0000
NAs 1.0000
Minimum -0.3387
Quartile 1 -0.0110
Median 0.0022
Arithmetic Mean 0.0016
Geometric Mean 0.0009
Quartile 3 0.0174
Maximum 0.2781
SE Mean 0.0006
LCL Mean (0.95) 0.0003
UCL Mean (0.95) 0.0029
Variance 0.0013
Stdev 0.0360
Skewness -0.5133
Kurtosis 10.9731

Downside Risk

Close
Semi Deviation 0.0266
Gain Deviation 0.0253
Loss Deviation 0.0305
Downside Deviation (MAR=210%) 0.0297
Downside Deviation (Rf=0%) 0.0259
Downside Deviation (0%) 0.0259
Maximum Drawdown 0.7686
Historical VaR (95%) -0.0551
Historical ES (95%) -0.0903
Modified VaR (95%) -0.0547
Modified ES (95%) -0.1097
From Trough To Depth Length To Trough Recovery
2020-02-20 2020-03-23 2021-01-08 -0.7686 225 23 202
2008-11-06 2009-03-09 2009-09-16 -0.7137 216 83 133
2011-05-02 2011-10-03 2012-09-13 -0.5381 347 108 239
2018-09-21 2018-12-24 2019-07-24 -0.5027 210 65 145
2010-04-26 2010-07-02 2010-12-10 -0.4351 161 49 112

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2008 NA NA NA NA NA NA NA NA NA NA -26 3.4 -23.5
2009 -6.3 -6.4 6 2 7.6 1.1 0.3 -6.6 -7.6 -8.5 3.6 -2.9 -17.7
2010 4.7 3.2 2.2 -4.9 -5.7 -0.9 0.2 8.4 1.1 0 6.3 0.1 14.7
2011 4.7 -5 1.3 0.9 -6.7 4.3 -1.4 -3.4 -7.5 -8.1 0 -1.1 -20.9
2012 3 2.1 0.9 1.9 -7.6 7.4 -0.4 1.1 0.6 3.6 -0.3 5.3 18.3
2013 3.1 1.4 -0.8 -2.6 -4.2 2.5 3.4 -1.1 2.2 0.9 -0.3 1.4 5.7
2014 -1.9 0.7 2 -0.1 0.3 2 -0.9 0.8 -4 3.3 -2.2 -3.1 -3.2
2015 -3.7 -1 -1 3.1 0.6 2.1 -0.5 -8.9 0.8 -1.4 2.9 -2.9 -10
2016 0 7.4 1.9 -1.6 0.5 0.6 -0.4 0 2.4 -2.1 -1 -1.1 6.7
2017 0.1 4.1 -0.7 0.6 2.3 0.5 0.6 0.5 0.9 0.5 -0.5 -0.9 8.3
2018 -0.4 -4.1 4.2 0.5 3.1 0.5 -0.3 0 1 3.2 2 2.8 12.9
2019 0.1 2 3.4 -2.2 -3.9 2.4 -2.6 -0.1 -3.7 2.8 -1.1 0.8 -2.4
2020 -5.4 -1.2 -13.3 -7.7 1.4 1.9 2.4 2.9 1.8 -3.2 3.2 1.6 -15.8
2021 4.9 7.2 -0.5 NA NA NA NA NA NA NA NA NA 11.8

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Price Chart

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Rolling Performance Chart

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Snail Trail Chart